This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive …

standard price hedge ratios for a wide class of contingent claims are model-free. Since options on traded assets are normally … has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal … for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging …

additionalstandard options. …

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …

Complex insurance risks typically have multiple exposures. Options on multiple underliers with a short maturity are …

The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic … concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging … strategies termed dynamic conic hedging. The primary focus of these strategies is to adopt positions maximizing a nonlinear …